Insurance - Reinsurance Industry Report
September 2021
Exploratory Data Analysis
Distribution of the Response
Correlation between Covariates and Response
| Avg Pct Change | Sd Pct Change | Avg Vol | Pe Ratio | Price to Sales Ratio | Price to Book Ratio | Price to Fcf Ratio | Debt to Equity Ratio | Pays Dividend | Dividend Yield | Response | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| min | -0.8% | 0.6% | 4960 | 0.00 | 0.000 | 0.000 | 0.00 | 0.32 | 0.000 | 0% | -1.900 |
| first_quart | -0.1% | 1% | 216000 | 5.43 | 0.445 | 0.660 | 2.08 | 1.41 | 0.000 | 0% | -0.113 |
| median | 0% | 1.2% | 338000 | 7.03 | 1.220 | 0.820 | 4.42 | 1.95 | 1.000 | 0.7% | 0.445 |
| mean | 0% | 1.4% | 339000 | 15.00 | 1.750 | 0.808 | 10.00 | 2.44 | 0.567 | 0.8% | 0.196 |
| third_quart | 0.2% | 1.7% | 437000 | 10.10 | 2.570 | 0.970 | 6.62 | 3.14 | 1.000 | 1.6% | 0.692 |
| max | 0.9% | 5.7% | 904000 | 648.00 | 19.100 | 1.610 | 628.00 | 7.21 | 1.000 | 2.6% | 1.080 |
Model Tuning
Random Forest Models
Gradient Boosted Models
Final Models
Random Forest Model
Model Info and Metrics
- min_n: 3, mtry: 10
- Mean Absolute Error: 0.1779
- Root Mean Squared Error: 0.2769
Gradient Boosted Model
Model Info and Metrics
- learn_rate: 0.1, mtry: 3, tree_depth: 5
- Mean Absolute Error: 0.0129
- Root Mean Squared Error: 0.0175
Future Predictions
| Company | Quarter | Price | RF Prediction | GB Prediction |
|---|---|---|---|---|
| RGA | 2021 Q2 | $125.96 | 117.32% | 117.76% |
| RNR | 2021 Q2 | $159.02 | 27.44% | 9.25% |
| RE | 2021 Q2 | $260.28 | 16.65% | 22.75% |
| GLRE | 2021 Q2 | $9.16 | -47.09% | -37.56% |
| SPNT | 2021 Q2 | $10.48 | -47.75% | -16.68% |
| OXBR | 2021 Q2 | $2.41 | -52.77% | 28.02% |
| MHLD | 2021 Q2 | $3.48 | -72.45% | -40.71% |
